VMNVX vs. ^GSPC
Compare and contrast key facts about Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX) and S&P 500 (^GSPC).
VMNVX is managed by Vanguard. It was launched on Dec 12, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VMNVX or ^GSPC.
Key characteristics
| VMNVX | ^GSPC | |
|---|---|---|
| YTD Return | 15.55% | 24.72% |
| 1Y Return | 19.75% | 32.12% |
| 3Y Return (Ann) | 6.54% | 8.33% |
| 5Y Return (Ann) | 5.59% | 13.81% |
| 10Y Return (Ann) | 7.64% | 11.31% |
| Sharpe Ratio | 2.11 | 2.66 |
| Sortino Ratio | 2.93 | 3.56 |
| Omega Ratio | 1.46 | 1.50 |
| Calmar Ratio | 3.89 | 3.81 |
| Martin Ratio | 13.03 | 17.03 |
| Ulcer Index | 1.49% | 1.90% |
| Daily Std Dev | 9.17% | 12.16% |
| Max Drawdown | -33.11% | -56.78% |
| Current Drawdown | -1.84% | -0.87% |
Correlation
The correlation between VMNVX and ^GSPC is 0.86, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
VMNVX vs. ^GSPC - Performance Comparison
In the year-to-date period, VMNVX achieves a 15.55% return, which is significantly lower than ^GSPC's 24.72% return. Over the past 10 years, VMNVX has underperformed ^GSPC with an annualized return of 7.64%, while ^GSPC has yielded a comparatively higher 11.31% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Risk-Adjusted Performance
VMNVX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Drawdowns
VMNVX vs. ^GSPC - Drawdown Comparison
The maximum VMNVX drawdown since its inception was -33.11%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for VMNVX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
VMNVX vs. ^GSPC - Volatility Comparison
The current volatility for Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX) is 2.42%, while S&P 500 (^GSPC) has a volatility of 3.81%. This indicates that VMNVX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.